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The authors consider the problem of maximization of the following performance function:  \\[  J(x,\\pi) = E\\left[\\sum_{n=1}^\\infty e^{-\\lambda \\tau_n} (-K+k\\xi_n)I_{\\{\\tau_n\\leq \\tau\\}}\\right],  \\]  where \\(\\tau\\) is the first moment when the process \\(X\\) becomes non-positive, and \\(\\lambda>0\\), \\(K>0\\) and \\(k\\in(0,1)\\) are some parameters. Some natural constraints are imposed on the control. Such a problem can be regarded as the problem of finding optimal proportional reinsurance and dividend policy under both proportional and fixed transaction costs. 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